Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for June 2025 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for June 2025 (Final)
1st ETF 2nd ETF 3rd ETF

Recent Investing Research

SACEMS, SACEVS and Trading Calendar Updates

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for May 2025.

Weekly Summary of Research Findings: 5/27/25 – 5/30/25

Below is a weekly summary of our research findings for 5/27/25 through 5/30/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Preliminary SACEMS and SACEVS Allocation Updates

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for June 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

Are Equity Index Covered Call ETFs Working?

Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE S&P 500 BuyWrite Index (BXM). Global X S&P 500 Covered Call (XYLD) – seeks to track BXM. Global X NASDAQ 100… Keep Reading

Crypto-asset Trend-following Strategies

Is trend-following generally an attractive strategy for crypto-assets? In their April 2025 paper entitled “Catching Crypto Trends; A Tactical Approach for Bitcoin and Altcoins”, Carlo Zarattini, Alberto Pagani and Andrea Barbon test a long-only trend-following strategy on Bitcoin. They then extend the strategy to all cryptocurrencies listed for at least one year since 2015 with… Keep Reading

Update of a Lumber/Gold Risk-on/Risk-off Strategy

A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

Survey of Fed Effects on Stock Market Returns

How and how much does the Federal Reserve Open Market Committee (FOMC) affect the overall stock market? In their April 2025 paper entitled “The Effect of the Federal Reserve on the Stock Market: Magnitudes, Channels and Shocks”, Benjamin Knox and Annette Vissing-Jorgensen survey studies of Federal Reserve effects on the stock market, focusing on three… Keep Reading

Weekly Summary of Research Findings: 5/19/25 – 5/23/25

Below is a weekly summary of our research findings for 5/19/25 through 5/23/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Is Morningstar’s Fair Market Value of Value?

A subscriber commented and asked: “I have been wondering whether Morningstar’s estimate of ‘fair value’ for stocks has any relationship to actual subsequent returns. For instance, when the fair value is more than double the market price, is the return over the next year substantially greater than for stocks where the fair value is less… Keep Reading

Are IPO ETFs Working?

Are exchange-traded funds (ETF) focused on Initial Public Offerings of stocks (IPO) attractive? To investigate, we consider three of the largest IPO ETFs and one recent Special Purpose Acquisition Company (SPAC) ETF, one of which is no longer available, in order of longest to shortest available histories: First Trust US Equity Opportunities ETF (FPX) –… Keep Reading

Factor Model Complexity Versus Predictive Power

Are more factors better for predicting stock market returns? In their April 2025 paper entitled “The Limited Virtue of Complexity in a Noisy World”, Álvaro Cartea, Qi Jin and Yuantao Shi analyze the interactions between stock factor noisiness (errors/uncertainties) and factor model complexity in portfolio optimization. Specifically, they study how factor noise affects the predictive… Keep Reading

Continue to archive for older articles

Login
Daily Email Updates
Filter Research
  • Research Categories (select one or more)